Jason Wei

 
Jason Wei

Biography: 

Jason Wei is a Professor of Finance in the Department of Management at the University of Toronto Scarborough, with a cross-appointment to the Finance area at the Rotman School of Management. His early research was mainly on derivatives valuation and applications. His recent research is on empirical asset pricing, focusing on options liquidity and trading. He is currently on the editorial board of The Journal of Derivatives. He was the Finance Division Editor of the Canadian Journal of Administrative Sciences from 2005–2011. In addition to his teaching and research duties, Jason is active in various industry consulting activities and professional education programs.

Professional Experience:

Professor, University of Toronto, 2005 – present

Associate Professor, University of Toronto, 1998 – 2005

Associate Professor, University of Saskatchewan, 1992 – 1998

Division Editor (Finance), Canadian Journal of Administrative Sciences, 2005 – present

Member of Editorial Board, Journal of Derivatives, 1999 – present

Member of Editorial Board, Journal of Financial Engineering, 1998–1999

Invited researcher, Tilburg University, Netherlands, June 1994 and August 2001

Research Interests: 

  • Derivatives (valuation, modeling and empirical testing)
  • Weather Derivatives
  • Credit Risk
  • Liquidity Risk
  • Stock Market Behaviour

Teaching Interests: 

  • Principles of Finance
  • Intermediate Finance
  • Introduction to Derivatives Markets
  • Investments
  • Security Analysis
  • Portfolio Management

Awards and Grants: 

2005   Best Paper in Derivatives; Northern Finance Association
1998   Toronto Society of Financial Analysts Research Award; TSFA
1995,1998   Most Effective Professor of the Year; College of Commerce, University of Saskatchewan
1993   Harvey Rorke Memorial Prize for Best Ph.D. Dissertation
1993   Best Paper Award; Administrative Science Association of Canada

 

Publications: 

Selected Publications – Papers

Option Market Liquidity: Commonality and Other Characteristics; with Melanie Cao; Journal of Financial Markets; Issue: Vol 13, No 1; 2010

Valuation of Housing Index Derivatives; with Melanie Cao; Journal of Futures Markets; Issue: Vol 30, No 7; 2010

Trading Activity and Bid-Ask Spreads of Individual Equity Options; with Jinguo Zheng; Journal of Banking and Finance; Issue: Vol 34, No 12; 2010

Systematic Risk and the Price Structure of Individual Equity Options; with Jin-Chuan Duan; Review of Financial Studies; Issue: Vol 29, No 5; 2009

Corporate Yield Spreads and Bond Liquidity; with Long Chen and David Lesmond; Journal of Finance; Issue: Vol 61, No 1; 2007

Executive Stock Options and Incentive Effects due to Systematic Risk; with Jin-Chuan Duan; Journal of Banking and Finance; Issue: Vol 29, No 5; 2005

Stock Market Returns: A Note on Temperature Anomaly; with Melanie Cao; Journal of Banking and Finance; Issue: Vol 29, No 6; 2005

Price Hedging with Local and Aggregate Quantity Risk; with Jouahn Nam and Alan Tucker; Journal of Derivatives; Issue: Vol 13, No 2; 2005

Deposit Insurance and Forbearance under Moral Hazard; with Jacky So; Journal of Risk and Insurance; Issue: Vol 71, No 4; 2004

Weather Derivatives Valuation and Market Price of Weather Risk; with Melanie Cao; Journal of Futures Markets; Issue: Vol 24, No 11; 2004

A Multi-Factor, Markov Chain Model for Credit Migration and Credit Spreads; Journal of International Money and Finance; Issue: 22; 2003; Pages: 709-735

Finding Generators for Markov Chains Via Empirical Transition Matrices; with R. Israel and J. Rosenthal; Mathematical Finance; Issue: Vol 11, No. 2; 2001

Vulnerable Options, Risky Corporate Bonds and Credit Spread; with Melanie Cao; Journal of Futures Markets; Issue: Vol 21, No 4; 2001

Pricing Foreign Currency and Cross-Currency Options Under GARCH; with Jin-Chuan Duan; Journal of Derivatives; Issue: Vol 7. No 1; 1999

Valuation of Barrier Options by Interpolation; Journal of Derivatives; Issue: Vol 6, No. 1; 1998

Valuation of LIBOR-Contingent FX Options; with Alan Tucker; Journal of International Money and Finance; Issue: Vol 17, No. 2; 1998

A Simple Approach to Bond Option Pricing; Journal of Futures Markets; Issue: Vol. 17, No 2; 1997

Empirical Tests of the Pricing of Nikkei Put Warrants; The Financial Review; Issue: Vol 30, No 2; 1995

Valuing Differential Swaps; Journal of Derivatives; Issue: Vol 1, No 3 (Spring); 1994

Upper Bounds for American Futures Options ----- A Note; with Mohammed Chaudhury; Journal of Futures Markets; Issue: Vol 14, No 1; 1994

Education: 

PhD, University of Toronto

MBA, York University

BSc, Harbin Institute of Technology, China